Optimal surrender policy of guaranteed minimum maturity benefits in variable annuities with regime-switching volatility

DOI10.1155/2021/9969937MaRDI QIDQ6484469zbMATHFDO

Authors Xiankang Luo, Jie Xing

Publication date 25 January 2022

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(16)

• Optimal surrender time for a variable annuity with a fixed insurance fee
• Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
• Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
• Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
• Variable annuity with a surrender option under multiscale stochastic volatility
• Guaranteed minimum surrender benefits in variable annuities: the impact of regulator-imposed guarantees
• Optimal stopping behavior of equity-linked investment products with regime switching
• Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
• Optimal surrender strategies for equity-indexed annuity investors
• Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods
• An analytical study of participating policies with minimum rate guarantee and surrender option
• Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
• Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
• Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
• Optimal surrender policy for reverse mortgage loans

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